Analysis of the relationship between futures market instruments and the spot market
| Autor: | Franco Makoto Yamakawa, Vinícius Medeiros Magnani, Rafael Confetti Gatsios, Marcelo Augusto Ambrozini |
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| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Revista de Gestão e Secretariado (Management and Administrative Professional Review); Vol. 14 No. 5 (2023): Revista de Gestão e Secretariado v.14, n.5, 2023; 8041-8060 Revista de Gestão e Secretariado; v. 14 n. 5 (2023): Revista de Gestão e Secretariado v.14, n.5, 2023; 8041-8060 |
| ISSN: | 2178-9010 |
| Popis: | With the development of the Brazilian market, the objectives of markets currently focus on the over-the-counter market based on market and futures exchange. Additionally, firms and investors prefer using hedge protection instruments for their protection against risks. The present study aims to evaluate the Brazilian market and the relationship of future market instruments on the market Bovespa Index (Ibovespa). The methodology proposed differs from others that apply time series econometrics per sector only, incurring a potential sample to selectivity draw more general conclusions about the market. The results indicate that the spot market anticipates future scenarios, obtaining a positive and significant relationship between the forward rate agreement (explanatory variable) and the volume of futures market contracts with Ibovespa, indicating that, in fact, futures and present markets are integrated and can influence each other. The study aims to contribute to the literature on derivatives as only few studies were conducted in the area of risk management with derivatives focused on the Brazilian market. |
| Databáze: | OpenAIRE |
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